Remove the ends of 2 of the zucchini, cut in half lengthwise; use a melon baller to scoop out the flesh, leaving a 1/4" thick shell; set the flesh aside.
Place the shells in a steamer, cut sides up, and steam until just tender, 3-5 minutes; invert on paper towels and drain.
Cut the remaining 2 squash into 1/4" slices; heat oil in a non-stick skillet; saute the onions over medium heat, until softened; add the reserved flesh, chopped,and the zucchini slices; continue to cook over medium-high heat, until golden.
Process the cooked mixture and the feta in a food processor until the zucchini is roughly chopped; stuff the shells with this filling and place them in an oiled baking dish.
Broil 4" from the heat source until filling is bubbly and deep golden in color, about 3 minutes.